scholarly journals The Effects Of Asymmetric Transmission Of Exchange Rate On Inflation In Iran: Application Of Threshold Models

2015 ◽  
Vol 10 (2) ◽  
pp. 99-113
Author(s):  
Yazdan Naghdi ◽  
Soheila Kaghazian
Keyword(s):  
Exchange Rate ◽  
Time Series Data ◽  
Public Procurement ◽  
Consumer Price Index ◽  
Series Data ◽  
Asymmetric Transmission ◽  
Exchange Rate Fluctuation ◽  
Rate Fluctuation ◽  
Non Linear ◽  
The One

Abstract Given the recent fluctuation in the exchange rate and the presence of several factors such as the various economy-political sanctions (mainly embargos on oil and banking), extreme volatility in different economic fields, and consequently the devaluation of national and public procurement -A landmark that is emanating from exchange rate fluctuation - two points should be noted: First, it is essential to review the effect of exchange rate fluctuation on macro economic variables such as inflation and to provide appropriate policies. Second, the existence of this condition provides the chance to study the relation between exchange rate and inflation in a non-linear and asymmetric method. Hence, the present study seeks to use TAR model and, on the basis of monthly time series data over the period March 2002 to March 2014, to analyze the cross-asymmetric and non-linear exchange rate on consumer price index (CPI) in Iran. The results also show the presence of an asymmetric long-term relationship between these variables (exchange rate and CPI). Also, in the Iranian economy, the effect of negative shocks of exchange rate on inflation is more sustainable than the one from positive shocks.

scholarly journals Are global Exchange Traded Fund pretentious on exchange rate fluctuation? A study using GARCH model

2020 ◽  
Vol 17 (4) ◽  
pp. 356-366
Author(s):  
Geetha E ◽  
Iqbal Thonse Hawaldar ◽  
Vidya Bai G ◽  
Suhan Mendon ◽  
Rajesha Thekkekutt Mathukutti
Keyword(s):  
Exchange Rate ◽  
Garch Model ◽  
Foreign Market ◽  
Rate Data ◽  
Direct Impact ◽  
Exchange Rate Fluctuation ◽  
Rate Fluctuation ◽  
Highly Sensitive ◽  
Global Exchange ◽  
Exchange Traded Fund

Investors invest in a foreign market to reap the benefits of currency differences. The change in the value of underlying assets affects these hedged funds and, at the same time, restricts investors from higher return possible in unhedged funds. This study aims to examine the performance of most actively traded shares in Exchange Traded Fund and any influence, along with tracking the information from the index. This study also analyzes the currency fluctuation and its impact on returns and volatility of ETF and index. The equity ETF, which tracks NASDAQ (NDX 100), is chosen for the study, and the data analysis is carried out using statistical methods such as correlation, regression, and GARCH model. The study utilizes the currency rate data from 2013 to 2018 of USD, GBP, and INR and examines its effect on the NDX (NASDAQ). The study emphasizes whether the ETF as a basket of securities is insensitive to currency rate fluctuations. It is found that the response of ETF to the currency movements is likely due to its underlying index. The study concludes that Motilal Oswal shares in NASDAQ 100 ETF are highly sensitive to the NDX 100 movements; thus, there is no direct impact between ETF and index performance through exchange rate fluctuation.

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